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Integral transformations and anticipative calculus for fractional Brownian motions
About this Title
Yaozhong Hu
Publication: Memoirs of the American Mathematical Society
Publication Year:
2005; Volume 175, Number 825
ISBNs: 978-0-8218-3704-7 (print); 978-1-4704-0426-0 (online)
DOI: https://doi.org/10.1090/memo/0825
MathSciNet review: 2130224
MSC: Primary 60G15; Secondary 26A33, 44A15
Table of Contents
Chapters
- 1. Introduction
- 2. Representations
- 3. Induced transformation I
- 4. Approximation
- 5. Induced transformation II
- 6. Stochastic calculus of variation
- 7. Stochastic integration
- 8. Nonlinear translation (absolute continuity)
- 9. Conditional expectation
- 10. Integration by parts
- 11. Composition (Itô formula)
- 12. Clark type representation
- 13. Continuation
- 14. Stochastic control
- 15. Appendix